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Kristin Reikvam · Study
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Author
Kristin Reikvam
7 works
· latest 2003
· 3 institutions
cluster: provisional
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7
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7
Citations
400
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7
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Most cited in this library
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
2001 · 109 citations
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
2001 · 63 citations
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
2003 · 61 citations
Viscosity solutions of optimal stopping problems
1998 · 57 citations
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
2002 · 41 citations
Works
7 shown
A Connection between Singular Stochastic Control and Optimal Stopping
Applied Mathematics & Optimization
·
2003
·
2 authors
34
citations
A semilinear Black and Scholes partial differential equation for valuing American options
Finance and Stochastics
·
2003
·
3 authors
35
citations
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
Mathematical Finance
·
2003
·
3 authors
61
citations
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
Stochastics and stochastics reports
·
2002
·
3 authors
·
Open access
41
citations
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Finance and Stochastics
·
2001
·
3 authors
·
Open access
63
citations
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Finance and Stochastics
·
2001
·
3 authors
·
Open access
109
citations
Viscosity solutions of optimal stopping problems
Stochastics and stochastics reports
·
1998
·
1 author
·
Open access
57
citations